Table 3 Total volatility spillover table...

Table 3

Total volatility spillover table

	Gold	Oil	Bitcoin	Vietnam	US	Japan	China	FROM others
Gold	74.89	5.07	4.63	0.58	12.87	1.67	0.28	25.11
Oil	7.21	78.20	1.5	0.43	10.42	2.03	0.2	21.80
Bitcoin	2.33	0.85	90.13	0.08	5.25	0.89	0.47	9.87
Vietnam	0.96	0.39	3.12	86.74	4.98	2.81	1.00	13.26
US	7.16	4.84	5.72	1.76	75.44	4.02	1.08	24.56
Japan	7.77	3.06	5.85	1.91	15.63	63.82	1.95	36.18
China	1.43	0.44	1.73	0.73	5.03	0.73	89.92	10.08
TO others	26.85	14.66	22.55	5.50	54.18	12.15	4.98	Total spillover index = 20.12%

	Gold	Oil	Bitcoin	Vietnam	US	Japan	China	FROM others
Gold	74.89	5.07	4.63	0.58	12.87	1.67	0.28	25.11
Oil	7.21	78.20	1.5	0.43	10.42	2.03	0.2	21.80
Bitcoin	2.33	0.85	90.13	0.08	5.25	0.89	0.47	9.87
Vietnam	0.96	0.39	3.12	86.74	4.98	2.81	1.00	13.26
US	7.16	4.84	5.72	1.76	75.44	4.02	1.08	24.56
Japan	7.77	3.06	5.85	1.91	15.63	63.82	1.95	36.18
China	1.43	0.44	1.73	0.73	5.03	0.73	89.92	10.08
TO others	26.85	14.66	22.55	5.50	54.18	12.15	4.98	Total spillover index = 20.12%

Note(s): The table measures volatility spillover effects among gold, oil, bitcoin and four stock markets. The sample period is from 01 January 2018 to 31 December 2023, and the forecast horizon is 10 days. The underlying variance decomposition is based on a generalized VAR(1)

Source(s): Authors’ estimation

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